@fullstackcraftllc/floe 0.0.13 → 0.0.14

package/README.md

@@ -37,13 +37,13 @@ The same library that is used in [Full Stack Craft's](https://fullstackcraft.com
 
 Due to the overwhelming variety of how broker APIs structure their data (and how they make it available), there is a wide variety of how much support we can provide out-of-the-box for different brokers, summarized in this table:
 
-| Broker                | Black-Scholes | Greeks | Open Interest Based Exposures | Options-Book Based Exposures | Implied PDF Calculations |
-|-----------------------|--------------|--------|-------------------------------|------------------------------|-------------------------|
-| Tradier (via WebSocket) | ✅           | ✅     | ✅                            | ✅                           |  ✅                         |
-| Tastytrade (via WebSocket - DXLink Streamer)               |  ✅            |  ✅      |  ✅                             |  ✅                            |  ✅                         |
-| TradeStation (via HTTP Streaming)              |  ✅            |  ✅      |  ✅                             |  ✅                            |  ✅                         |
-| Schwab (via WebSocket)              |  ✅            |  ✅      |  ✅                             |  ✅                            |  ✅                         |
-| Interactive Brokers (via WebSocket)              |  Coming Soon            |  Coming Soon      |  Coming Soon                             |  Coming Soon                            |  Coming Soon                         |
+| Broker                | Black-Scholes | Greeks | Open Interest Based Exposures | Options-Book Based Exposures | Implied PDF Calculations | SPX / NDX 0DTE Data |
+|-----------------------|--------------|--------|-------------------------------|------------------------------|-------------------------|----------------------|
+| Tradier (via WebSocket) | ✅           | ✅     | ✅                            | ✅                           |  ✅                         | ✅                   |
+| Tastytrade (via WebSocket - DXLink Streamer)               |  ✅            |  ✅      |  ✅                             |  ✅                            |  ✅                         | Not yet tested                   |
+| TradeStation (via HTTP Streaming)              |  ✅            |  ✅      |  ✅                             |  ✅                            |  ✅                         | Not yet tested                   |
+| Schwab (via WebSocket)              |  ✅            |  ✅      |  ✅                             |  ✅                            |  ✅                         | Not yet tested                   |
+| Interactive Brokers (via WebSocket)              |  Coming Soon            |  Coming Soon      |  Coming Soon                             |  Coming Soon                            |  Coming Soon                         | Coming Soon                   |
 
 Ideally all aspects of `floe` will be available for all brokers, but this will take time to determine as we work through the various data structures and formats that each broker provides.
 

package/dist/client/brokers/TradierClient.js

@@ -82,17 +82,18 @@ class TradierClient extends BaseBrokerClient_1.BaseBrokerClient {
      * @param symbols - Array of ticker symbols and/or OCC option symbols
      */
     subscribe(symbols) {
+        // Add to tracked symbols first
+        symbols.forEach(s => this.subscribedSymbols.add(s));
         if (!this.connected || !this.ws || !this.streamSession) {
-            // Queue symbols for subscription when connected
-            symbols.forEach(s => this.subscribedSymbols.add(s));
+            // Symbols queued for subscription when connected
             return;
         }
-        // Add to tracked symbols
-        symbols.forEach(s => this.subscribedSymbols.add(s));
-        // Send subscription message
+        // Send subscription message with ALL subscribed symbols
+        // Tradier replaces the entire subscription list on each payload,
+        // so we must send the complete list every time
         const payload = {
             sessionid: this.streamSession.sessionid,
-            symbols: symbols,
+            symbols: Array.from(this.subscribedSymbols), // send ALL symbols!
         };
         this.ws.send(JSON.stringify(payload));
     }

package/dist/impliedpdf/adjusted.d.ts

@@ -0,0 +1,173 @@
+import { ImpliedProbabilityDistribution, getProbabilityInRange, getCumulativeProbability, getQuantile } from './index';
+import { ExposurePerExpiry, NormalizedOption } from '../types';
+/**
+ * Configuration for exposure-based PDF adjustments
+ */
+export interface ExposureAdjustmentConfig {
+    /** Gamma adjustment settings */
+    gamma: {
+        /** Enable gamma-based kurtosis adjustment */
+        enabled: boolean;
+        /** Strength of attractor effect at +GEX strikes (0-1) */
+        attractorStrength: number;
+        /** Strength of repellent effect at -GEX strikes (0-1) */
+        repellentStrength: number;
+        /** Minimum absolute GEX to consider significant (in dollars) */
+        threshold: number;
+        /** Decay rate for influence distance (higher = more localized) */
+        decayRate: number;
+    };
+    /** Vanna adjustment settings */
+    vanna: {
+        /** Enable vanna-based tail adjustment */
+        enabled: boolean;
+        /** Spot-vol beta: IV change per 1% spot move (typically -2 to -4 for indices) */
+        spotVolBeta: number;
+        /** Maximum tail fattening multiplier */
+        maxTailMultiplier: number;
+        /** Number of feedback iterations to simulate */
+        feedbackIterations: number;
+    };
+    /** Charm adjustment settings */
+    charm: {
+        /** Enable charm-based mean shift */
+        enabled: boolean;
+        /** Time horizon multiplier ('intraday' = 0.25, 'daily' = 1.0, 'weekly' = 5.0) */
+        timeHorizon: 'intraday' | 'daily' | 'weekly';
+        /** Scaling factor for mean shift */
+        shiftScale: number;
+    };
+}
+/**
+ * Result of exposure-adjusted PDF calculation
+ */
+export interface AdjustedPDFResult {
+    /** Original market-implied distribution */
+    baseline: ImpliedProbabilityDistribution;
+    /** Exposure-adjusted distribution */
+    adjusted: ImpliedProbabilityDistribution;
+    /** Gamma modifier applied at each strike (multiplicative) */
+    gammaModifiers: number[];
+    /** Vanna modifier applied at each strike (multiplicative) */
+    vannaModifiers: number[];
+    /** Charm-induced mean shift (in price units) */
+    charmShift: number;
+    /** Comparison metrics between baseline and adjusted */
+    comparison: PDFComparison;
+}
+/**
+ * Comparison metrics between baseline and adjusted PDFs
+ */
+export interface PDFComparison {
+    /** Shift in expected value */
+    meanShift: number;
+    /** Shift as percentage of spot */
+    meanShiftPercent: number;
+    /** Change in standard deviation */
+    stdDevChange: number;
+    /** Change in tail skew ratio */
+    tailSkewChange: number;
+    /** 5th percentile: baseline vs adjusted */
+    leftTail: {
+        baseline: number;
+        adjusted: number;
+        ratio: number;
+    };
+    /** 95th percentile: baseline vs adjusted */
+    rightTail: {
+        baseline: number;
+        adjusted: number;
+        ratio: number;
+    };
+    /** Dominant adjustment factor */
+    dominantFactor: 'gamma' | 'vanna' | 'charm' | 'none';
+}
+/**
+ * Default configuration tuned for SPX-like indices
+ */
+export declare const DEFAULT_ADJUSTMENT_CONFIG: ExposureAdjustmentConfig;
+/**
+ * Configuration for low volatility / grinding markets
+ */
+export declare const LOW_VOL_CONFIG: ExposureAdjustmentConfig;
+/**
+ * Configuration for high volatility / crisis markets
+ */
+export declare const CRISIS_CONFIG: ExposureAdjustmentConfig;
+/**
+ * Configuration for OPEX week
+ */
+export declare const OPEX_CONFIG: ExposureAdjustmentConfig;
+/**
+ * Estimate an exposure-adjusted implied probability distribution.
+ *
+ * This function takes the standard market-implied PDF (Breeden-Litzenberger)
+ * and adjusts it based on dealer Greek exposures to produce a "mechanically-informed"
+ * probability distribution that accounts for:
+ *
+ * - **Gamma**: Creates "sticky" zones (+GEX) where price pins, and "slippery" zones
+ *   (-GEX) where price accelerates through
+ * - **Vanna**: Fattens tails based on the IV-spot feedback loop (selloffs spike IV,
+ *   which forces more selling via negative vanna)
+ * - **Charm**: Shifts the mean based on predictable delta decay over time
+ *
+ * @param symbol - Underlying ticker symbol
+ * @param underlyingPrice - Current spot price
+ * @param callOptions - Call options for a single expiry
+ * @param exposures - Exposure metrics from calculateGammaVannaCharmExposures()
+ * @param config - Adjustment configuration (uses defaults if not provided)
+ * @returns Baseline and adjusted PDFs with comparison metrics
+ *
+ * @example
+ * ```typescript
+ * // Get exposures first
+ * const allExposures = calculateGammaVannaCharmExposures(chain, ivSurfaces);
+ * const expiryExposures = allExposures.find(e => e.expiration === targetExpiry);
+ *
+ * // Calculate adjusted PDF
+ * const result = estimateExposureAdjustedPDF(
+ *   'SPX',
+ *   4520,
+ *   callOptionsForExpiry,
+ *   expiryExposures
+ * );
+ *
+ * // Compare probabilities
+ * const target = 4400;
+ * const baselineProb = getCumulativeProbability(result.baseline, target);
+ * const adjustedProb = getCumulativeProbability(result.adjusted, target);
+ * console.log(`Market says ${baselineProb}% chance of ${target}`);
+ * console.log(`Flow-adjusted: ${adjustedProb}% chance`);
+ * ```
+ */
+export declare function estimateExposureAdjustedPDF(symbol: string, underlyingPrice: number, callOptions: NormalizedOption[], exposures: ExposurePerExpiry, config?: Partial<ExposureAdjustmentConfig>): AdjustedPDFResult | {
+    success: false;
+    error: string;
+};
+/**
+ * Get the "edge" - the difference between market-implied and flow-adjusted
+ * probability of reaching a price level.
+ *
+ * Positive edge means the market is underpricing the probability of reaching that level.
+ * Negative edge means the market is overpricing it.
+ *
+ * @example
+ * ```typescript
+ * const result = estimateExposureAdjustedPDF(...);
+ * const edge = getEdgeAtPrice(result, 4400);
+ * console.log(`Edge at 4400: ${(edge * 100).toFixed(2)}%`);
+ * // Output: "Edge at 4400: 2.35%"
+ * // Meaning: flow mechanics suggest 2.35% higher probability than market prices
+ * ```
+ */
+export declare function getEdgeAtPrice(result: AdjustedPDFResult, price: number): number;
+/**
+ * Get price levels where the adjustment is most significant
+ */
+export declare function getSignificantAdjustmentLevels(result: AdjustedPDFResult, threshold?: number): Array<{
+    strike: number;
+    baselineProb: number;
+    adjustedProb: number;
+    edge: number;
+}>;
+export { getProbabilityInRange, getCumulativeProbability, getQuantile };